Cross-border exchanges and volatility forecasting
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Date
2018-01-23
Authors
Goyal, Abhinav
Kallinterakis, Vasileios
Kambouroudis, Dimos
Laws, Jason
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis
Published Version
Abstract
We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before and after the outbreak of the global financial crisis. Controlling for the presence of feedback traders, the accuracy of the EGARCH (1,1) model is not affected, something further confirmed for both the pre and post crisis periods. Overall, ARCH effects can be found in the Euronext and OMX indices, with our results further indicating the presence of significant positive feedback trading in several of our tests.
Description
Keywords
Exchange groups , Feedback trading , Global financial crisis , Volatility forecasting
Citation
Goyal, A., Kallinterakis, V., Kambouroudis, D. and Laws, J. (2018) 'Cross-border exchanges and volatility forecasting', Quantitative Finance, 18(5), pp. 789-799. doi: 10.1080/14697688.2017.1414512
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Copyright
© 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 23 Jan 2018, available online: http://www.tandfonline.com/10.1080/14697688.2017.1414512